Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Nicolas Victoir (Oxford University)
A Short Introduction to Rough Paths and Applications to Numerical Analysis
A short introduction to Rough Paths will allow us to present the algorithm
"Cubature on Wiener space", which offers a new way of approximating weakly
SDEs. The method consists of replacing the Wiener measure by a linear
combination of Dirac measures, which means that our solution is approximated
by a weighted average of solution of ordinary differential equations. We
give some applications to Option pricing.